Its not problem with the game really, its problem with the MOTD display window which acts as basic internet browser.
It doesn't download any files unless you choose to download the files, it gives you pop-up to choose what action you wish to take (run, save, cancel).
Anyone can make MOTD and direct it to an .exe file and it asks users if they which to download the file, every internet browser does that so technically its not an exploit or security flaw, more like a risk to have such function to fool some people.

It would make more sense if you couldn't download any files using the internet browser which displays the MOTD, who even uses that to download files while playing? No one.

"Luckily" the file was named as an anti-cheat so less people would download it but if it was named something Steam releated, for example Steam update, game update or similar 90% or more would of downloaded it and that would of been a problem or well bigger problem.